问题如下:
The expected surplus return and volatility for three portfolios shows below (Given λ=2 ):
Using a surplus optimization approach, which portfolio has the highest objective function value?
选项:
A. Portfolio 1
B. Portfolio 2
C. Portfolio 3
解释:
A is correct.
考点:surplus optimization approach
解析:Objective function for surplus optimization: 。注意本题已知σ2,而不是σ。因此代入公式,得:
Portfolio 1: U=9-0.005(2)(25)=8.75,
Portfolio 2: U=8-0.005(2)(15)=7.85
Portfolio 3: U=7-0.005(2)(20)=6.80
因此Portfolio 1所得值最大。
怎么能知道sigma那个是0.0025不是0.25? 考试也会这么模糊的吗好怕 sigma=.5和.05从经济学意义上讲不都是挺合理的hhh